A Share Screen Using Daily Range, Geography, and Price Filters

Summary

The document describes a simple Chinese A-share screen based on daily price range, excluding Beijing-listed shares, and requiring a closing price around 18.5 yuan. It presents the range test as a way to identify stocks with price movement, while the geographic exclusion and price threshold further narrow the universe. Example formula and Python snippets are provided, though their conditions do not fully match the prose: the formula also filters turnover and excludes names containing additional terms, and the Python range threshold is 1%.

The accompanying discussion cautions that a fixed share price says little about fundamental value and that relying on a small number of technical filters can miss important drivers or select unusual speculative moves. Suggested refinements include broadening the price band and adding fundamental, capital-flow, and market-trend considerations. No performance data or validation is reported, so the screen should be treated as an illustrative selection rule rather than an evidenced strategy.

Key ideas

• The screen selects shares with a daily high-low range above a threshold and excludes Beijing listings.
• It uses a closing-price condition near 18.5 yuan, although the prose and code differ in how the condition is stated.
• The example formula adds turnover and name-based exclusions beyond the headline rule.
• The document warns that a share price alone does not establish value and that single-factor screens can be incomplete.
• It recommends adding fundamental factors and using a broader price range, but provides no backtest evidence.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.